Benjamin Stemper
Technical University of Berlin
7 Papers
68 Citations
Benjamin Stemper is an academic researcher from Technical University of Berlin. The author has contributed to research in topics: Stochastic volatility & Volatility (finance). The author has an hindex of 6, co-authored 7 publications.
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Papers
Short-time near-the-money skew in rough fractional volatility models
TL;DR: In this paper, the authors consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter H < 1/2.
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Short-time near-the-money skew in rough fractional volatility models
TL;DR: In this article, the authors consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H < 1/2.
47
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On deep calibration of (rough) stochastic volatility models
TL;DR: In this article, a two-step approach using deep learning techniques solely to learn the pricing map was proposed, rather than directly the calibrated model parameters as a function of observed market data.
42
•Posted Content
Short-time near-the-money skew in rough fractional volatility models
TL;DR: In this article, the authors consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H.
5
A regularity structure for rough volatility
TL;DR: In this article, the authors show that Hairer's regularity structures, a major extension of rough path theory, also provide a new and powerful tool to analyze rough volatility models.